Properties of Hill's estimator of extreme value index for impure samples

DOI10.3103/S002713221401001XMaRDI QIDQ263308zbMATH OpenOpenAlexFDO

Authors Igor V. Rodionov

Publication date 4 April 2016

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s002713221401001x

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• On maxima of partial samples in Gaussian sequences with pseudo-stationary trends
• The Poisson limit theorem for high extrema of a time series with seasonal component and monotone trend

Cited in

(2)

• The latest advances on the Hill estimator and its modifications
• Consistency of the Hill estimator for time series observed with measurement errors

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